REI Options History — November 2015

In November 2015, REI traded between $9.22 and $11.12. ATM implied volatility averaged 59.8%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 3.3% (HV 20d: 63.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2015-11-03: Highest Volume — 88 contracts
2015-11-03: Largest IV drop — 34.0% change
2015-11-02: Highest IV Rank — 34.9%
2015-11-02: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.12	$9.22	$11.12	$10.92	$9.97
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	59.8%	49.5%	76.6%	76.6%	62.0%
Expected Move	16.8%	14.2%	22.0%	22.0%	17.8%
HV 20d	63.1%	56.4%	71.0%	57.1%	61.2%
HV 60d	57.9%	51.6%	62.7%	62.7%	52.2%
IV Rank	19.8%	11.7%	34.9%	34.9%	21.5%
IV Percentile	45.5%	16.3%	91.3%	91.3%	54.0%
Term Structure	-0.8%	-21.3%	27.9%	-21.3%	-3.5%
VWIV	61.2%	51.8%	75.7%	62.7%	75.7%
Skew 25d	6.7%	-7.3%	21.2%	18.0%	9.6%
Skew 10d	17.9%	2.5%	45.5%	36.6%	14.7%
Call IV 25d	56.6%	47.5%	66.8%	59.3%	66.8%
Put IV 25d	63.3%	45.7%	77.3%	77.3%	76.4%
Bid-Ask Spread %	105.42	79.95	118.36	108.66	118.36
Gamma HHI	0.40	0.32	0.50	0.43	0.44
Net GEX	-75	-577	592	307	-577
Net DEX	18.5K	-1.0K	34.3K	5.2K	19.4K
Net VEX	-180	-251	-114	-238	-114
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.95	1.24	1.24	0.95
Total Volume	58.55	0	88	83	10
Total OI	212.9	200	217	212	200

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$10.92	$0.00	76.6%	22.0%	57.1%	34.9%	0.0%	18.0%	-21.3%	307	5.2K	-238	1.24	108.66	37	46	113	99
2015-11-03	$11.12	$0.00	50.5%	14.5%	56.4%	12.5%	0.0%	1.5%	8.6%	592	-1.0K	-251	1.10	109.80	42	46	113	99
2015-11-04	$10.84	$0.00	49.5%	14.2%	57.0%	11.7%	0.0%	-5.7%	-11.5%	195	3.0K	-232	1.10	112.93	42	46	118	99
2015-11-05	$10.72	$12.50	65.0%	18.1%	57.1%	24.9%	62.7%	3.0%	0.8%	324	6.8K	-233	0.95	105.22	42	40	118	99
2015-11-06	$10.84	$12.50	59.5%	15.8%	57.2%	20.2%	0.0%	15.9%	3.4%	313	4.0K	-215	0.00	115.63	0	0	118	97
2015-11-09	$10.29	$12.50	66.3%	16.8%	58.7%	25.3%	0.0%	9.9%	-1.4%	222	10.5K	-202	0.00	112.67	0	0	118	97
2015-11-10	$10.61	$12.50	69.5%	17.7%	59.4%	28.0%	58.3%	21.2%	2.0%	-317	14.6K	-171	0.95	104.77	42	40	118	97
2015-11-11	$10.88	$12.50	58.9%	16.9%	59.9%	18.8%	59.3%	5.5%	27.9%	355	3.8K	-216	0.95	112.44	42	40	118	97
2015-11-12	$9.76	$12.50	55.9%	16.0%	70.0%	16.2%	54.8%	6.5%	6.2%	-114	19.6K	-180	0.95	108.31	42	40	118	97
2015-11-13	$9.94	$12.50	64.6%	18.5%	70.4%	23.8%	61.9%	12.7%	-7.6%	-112	23.9K	-182	0.95	109.60	42	40	118	97
2015-11-16	$10.00	$12.50	60.5%	17.3%	70.4%	20.2%	0.0%	3.8%	-3.4%	-99	22.6K	-180	0.00	114.64	0	0	118	97
2015-11-17	$9.78	$12.50	63.8%	18.3%	70.6%	23.1%	64.9%	10.8%	-6.0%	-76	20.2K	-186	0.95	85.72	42	40	118	97
2015-11-18	$9.79	$12.50	65.6%	18.8%	69.7%	24.7%	66.0%	8.0%	-10.2%	-106	25.8K	-164	0.95	83.06	42	40	118	97
2015-11-19	$9.24	$12.50	51.4%	14.7%	71.0%	12.3%	51.8%	-7.3%	-1.6%	-251	28.5K	-154	0.95	85.71	42	40	118	97
2015-11-20	$9.22	$12.50	52.2%	15.0%	65.3%	13.0%	59.9%	1.9%	-1.5%	-357	34.3K	-143	0.95	110.19	42	40	113	97
2015-11-23	$9.54	$12.50	51.1%	14.6%	66.5%	12.0%	0.0%	13.9%	11.6%	-303	31.6K	-140	0.00	79.95	0	0	113	97
2015-11-24	$9.54	$12.50	57.2%	16.4%	65.7%	17.4%	0.0%	0.4%	-0.2%	-441	31.7K	-141	0.00	113.78	0	0	113	97
2015-11-25	$9.74	$12.50	56.6%	16.2%	59.5%	16.8%	61.0%	7.6%	-2.0%	-561	32.8K	-122	0.95	115.81	42	40	113	97
2015-11-27	$9.61	$12.50	59.3%	17.0%	59.6%	19.2%	57.8%	-2.3%	-5.9%	-492	33.1K	-127	0.95	101.15	42	40	113	97
2015-11-30	$9.97	$12.50	62.0%	17.8%	61.2%	21.5%	75.7%	9.6%	-3.5%	-577	19.4K	-114	0.00	118.36	0	10	113	87